Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data

We investigate whether oil-price uncertainty helps forecast the international stock returns of ten advanced and emerging countries. We consider an out-of-sample period of August 1925 to September 2021, with an in-sample period between August 1920 and July 1925, and employ a quantile-predictive-regre...

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Bibliographic Details
Main Authors: Mehmet Balcilar, Rangan Gupta, Christian Pierdzioch
Format: Article
Language:English
Published: MDPI AG 2022-11-01
Series:Energies
Subjects:
Online Access:https://www.mdpi.com/1996-1073/15/22/8436